The government has said the Islamic State (IS) group is the prime suspect behind Turkey's deadliest attack, which saw two suicide bombers blow themselves up in crowd of leftist and pro-Kurdish activists at a peace rally.
Ergodan -- who has come under fire over alleged security lapses -- broke three days of silence with his first public remarks on the attacks at a joint news conference with visiting Finnish President Sauli Niinisto.
Its probe will be held in parallel with the regular police and judicial investigation. The DDK has in the past probed state-sensitive issues like the death in 1993 of former president Turgut Ozal, which many regard as suspicious.
Amid bitter criticism of the authorities' handling of the disaster, Erdogan admitted there were security shortcomings but said their magnitude would be made clear only later.
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"There must undoubtedly be a mistake, a shortcoming in some place. Of what dimension? This will emerge after examinations."
"If there's any negligence of duty, then both the prime minister and related units will take steps needed. Nobody should doubt it."
There have been growing indications that the authorities are focussing on possible parallels or even links to a July 20 suicide bombing at a peace rally in Suruc on the Syrian border that killed 34.
The government blamed IS for that attack, which also targeted a gathering of pro-Kurdish and leftist activists.
Without giving further details, Erdogan said Turkey received intelligence indicating that the Ankara attack may be linked to Syria, where IS jihadists have captured swathes of territory up to the Turkish border.